Collinearity Levels (ρ) | Models | T = 8 | T = 16 | ||
RMSE | MAE | RMSE | MAE | ||
−0.99 | VAR(2) | N/A | N/A | 2.822276 | 1.865384 |
BVAR1 | 3.480238 | 2.459911 | 2.924542 | 2.070996 | |
BVAR2 | 3.475351 | 2.461614 | 2.915648 | 2.064497 | |
BVAR3 | 3.487892 | 2.47295 | 2.8539 | 1.969234 | |
BVAR4 | 3.520224 | 2.502497 | 2.846255 | 1.958829 | |
−0.95 | VAR(2) | N/A | N/A | 2.92741 | 1.923175 |
BVAR1 | 3.513841 | 2.461495 | 2.955763 | 2.077187 | |
BVAR2 | 3.524945 | 2.48011 | 2.93884 | 2.058831 | |
BVAR3 | 3.463551 | 2.424384 | 2.808864 | 1.903786 | |
BVAR4 | 3.477056 | 2.428536 | 2.779634 | 1.878388 | |
−0.9 | VAR(2) | N/A | N/A | 2.839813 | 1.892972 |
BVAR1 | 3.527144 | 2.461289 | 2.957319 | 2.080047 | |
BVAR2 | 3.510038 | 2.455105 | 2.946401 | 2.06848 | |
BVAR3 | 3.453288 | 2.416771 | 2.80427 | 1.932373 | |
BVAR4 | 3.423209 | 2.39757 | 2.785012 | 1.918003 | |
−0.85 | VAR(2) | N/A | N/A | 2.803335 | 1.871187 |
BVAR1 | 3.503068 | 2.448057 | 2.959128 | 2.098831 | |
BVAR2 | 3.512622 | 2.462979 | 2.967651 | 2.114981 | |
BVAR3 | 3.422623 | 2.410443 | 2.846845 | 2.006635 | |
BVAR4 | 3.406495 | 2.409279 | 2.831411 | 2.009857 |